Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0271
Annualized Std Dev 0.1799
Annualized Sharpe (Rf=0%) -0.1508

Row

Daily Return Statistics

Close
Observations 4420.0000
NAs 1.0000
Minimum -0.1464
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0043
Maximum 0.1785
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0113
Skewness -0.5217
Kurtosis 36.7252

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0086
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.6013
Historical VaR (95%) -0.0145
Historical ES (95%) -0.0275
Modified VaR (95%) -0.0119
Modified ES (95%) -0.0119
From Trough To Depth Length To Trough Recovery
2013-02-20 2020-03-18 NA -0.6013 2036 1782 NA
2003-09-05 2008-11-21 2013-01-24 -0.5847 2363 1315 1048
2013-02-08 2013-02-13 2013-02-19 -0.0188 7 4 3
2013-01-28 2013-01-29 2013-02-01 -0.0033 5 2 3
2003-09-03 2003-09-03 2003-09-04 -0.0020 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA -0.1 0 0.8 -1.7 0.6 -0.4
2004 0 0.5 -0.3 0.7 -1.5 -0.5 0.4 0.1 -0.2 1.2 0.8 0 1.4
2005 -1.2 1 0.7 0.2 0.1 0.7 -0.3 -0.2 0.2 -0.6 -1 0.7 0.4
2006 0.2 0.7 -1 0.4 0.3 -0.3 0.6 0.6 -0.5 0.3 0.4 1.2 3.1
2007 0.7 1 -0.6 -0.3 -0.5 -0.9 -2.4 1.7 1.4 -0.1 1.8 1 2.5
2008 -0.6 -2.9 2.7 -0.3 0.8 0.2 1 0 6.5 1.3 2.4 1.8 13.4
2009 0 -5.1 0.3 2.5 0.1 0.1 0.5 0.7 -1.2 -3.2 0.6 0 -4.7
2010 0.1 1 -0.5 -0.1 -0.5 -0.1 0.6 -0.5 0.4 0.1 0.4 -0.1 1
2011 0.2 -0.2 1.1 -0.2 -0.8 0.4 0.3 2.9 -0.1 -0.5 -1.1 0.8 3
2012 0.1 -0.1 0.9 -1.1 -1.4 -1.9 -0.2 0.5 0.7 0 -1.2 0 -3.6
2013 0.5 0.7 0 -0.6 -2.5 -0.1 -2 0.2 0.4 -0.5 0.1 -0.2 -4.2
2014 -0.1 0.4 0 -0.2 -0.4 -0.2 -0.3 0.2 0.1 0.5 -0.3 1.8 1.5
2015 -0.3 -0.5 0.7 0 -0.3 1.1 0.6 0.3 -0.6 0.3 0.3 -0.3 1.2
2016 -0.5 0.9 -0.4 0.3 0.6 -0.3 -0.3 -0.2 0.1 -1.1 0 0.2 -0.8
2017 -0.2 0.3 0.3 0.2 0.9 -0.2 0.5 0.2 0.1 0.2 0.3 0.4 3
2018 -0.1 -0.4 0.4 -0.1 -0.8 -0.4 0.4 0 0.6 1.3 0.2 -0.8 0.3
2019 0.7 0.1 0.2 0.4 -0.6 -0.3 -0.4 0.1 0.2 -0.6 0 -0.2 -0.4
2020 -0.5 -3.2 -5.9 -0.5 0.6 0.7 -0.1 2.4 0.8 -1 0.6 0.7 -5.3
2021 -0.1 1 -0.2 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart